The Advanced Execution Services (AES) division of Credit
Suisse has relaunched its liquidity-seeking algorithm Guerrilla in Asia in light of
changes to the market and trends in buy-side requirements.

Popular in Europe and the US, the strategy has been around
in Asia for some time but was re-engineered as a reaction to the evolution of
market structure in Asia.

“We have changed the core of the Guerrilla strategy. In the
past it was more focused on historical spread calculations, where now it
responds to liquidity opportunities and activity in both lit and dark
venues,” said James Rae, head of Credit Suisse’s AES, Asia-Pacific.

In particular, Rae said the changes were a response to an increase in the proportion of dark trading in Asia as well as a reduction in overall liquidity.

“This has led to a refocus of our clients, who are becoming
more interested in alternative liquidity sources but are nonetheless wary of
the inefficiencies and opportunity costs of moving in and out of the different
strategies,” he said.

The algo uses real time market activity to adjust trading
behaviour. It takes full advantage of extreme, unexpected, price moves which
work in the client’s favour while using Credit Suisse’s proprietary risk
management platform – Advanced Order Protection – to constantly guard against
movements that work against them.

“The strategy will be aggressive when conditions, short term
price and liquidity, are in your favour and less aggressive when there are no
opportunities,” said Rae.